Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with daily data from Mexico in the context of a modified EGARCH model that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses, suggesting that the futures market in Mexico is a useful price discovery vehicle, although futures trading has also been a source of instability for the spot market. Several managerial implications are derived and discussed. (C) 2004 Elsevier B.V. All rights reserved.

The next generation messaging technology: Makes web services effective

The vision presented in this paper and its technical content are a result of close collaboration between several researchers from the University of Queensland, Australia and the SAP Corporate Research Center, Brisbane, Australia. In particular; Dr Wasim Sadiq (SAP), Dr Shazia Sadiq (UQ), and Dr Karsten Schultz (SAP) are the prime contributors to the ideas presented. Also, PhD students Mr Dat Ma Cao and Ms Belinda Carter are involved in the research program. Additionally, the Australian Research Council Discovery Project Scheme and Australian Research Council Linkage Project Scheme support some aspects of research work towards the HMT solution.

The emergence of order in random walk resource discovery protocols

While others have attempted to determine, by way of mathematical formulae, optimal resource duplication strategies for random walk protocols, this paper is concerned with studying the emergent effects of dynamic resource propagation and replication. In particular, we show, via modelling and experimentation, that under any given decay (purge) rate the number of nodes that have knowledge of particular resource converges to a fixed point or a limit cycle. We also show that even for high rates of decay - that is, when few nodes have knowledge of a particular resource - the number of hops required to find that resource is small.

Structured ontology and information retrieval for email search and discovery

This paper discusses an document discovery tool based on formal concept analysis. The program allows users to navigate email using a visual lattice metaphor rather than a tree. It implements a virtual file structure over email where files and entire directories can appear in multiple positions. The content and shape of the lattice formed by the conceptual ontology can assist in email discovery. The system described provides more flexibility in retrieving stored emails than what is normally available in email clients. The paper discusses how conceptual ontologies can leverage traditional document retrieval systems.

Introducing uncertainty into pattern discovery in temporal event sequences

Pattern discovery in temporal event sequences is of great importance in many application domains, such as telecommunication network fault analysis. In reality, not every type of event has an accurate timestamp. Some of them, defined as inaccurate events may only have an interval as possible time of occurrence. The existence of inaccurate events may cause uncertainty in event ordering. The traditional support model cannot deal with this uncertainty, which would cause some interesting patterns to be missing. A new concept, precise support, is introduced to evaluate the probability of a pattern contained in a sequence. Based on this new metric, we define the uncertainty model and present an algorithm to discover interesting patterns in the sequence database that has one type of inaccurate event. In our model, the number of types of inaccurate events can be extended to k readily, however, at a cost of increasing computational complexity.

Superstring: A scalable service discovery protocol for the wide-area pervasive environment

Arguably, the world has become one large pervasive computing environment. Our planet is growing a digital skin of a wide array of sensors, hand-held computers, mobile phones, laptops, web services and publicly accessible web-cams. Often, these devices and services are deployed in groups, forming small communities of interacting devices. Service discovery protocols allow processes executing on each device to discover services offered by other devices within the community. These communities can be linked together to form a wide-area pervasive environment, allowing processes in one p u p tu interact with services in another. However, the costs of communication and the protocols by which this communication is mediated in the wide-area differ from those of intra-group, or local-area, communication. Communication is an expensive operation for small, battery powered devices, but it is less expensive for servem and workstations, which have a constant power supply and 81'e connected to high bandwidth networks. This paper introduces Superstring, a peer to-peer service discovery protocol optimised fur use in the wide-area. Its goals are to minimise computation and memory overhead in the face of large numbers of resources. It achieves this memory and computation scalability by distributing the storage cost of service descriptions and the computation cost of queries over multiple resolvers.